est.black.box1
Estimate a TSmodel
Description
Usage
est.black.box1(data,estimation='est.VARX', reduction='reduction.Mittnik', criterion='taic', verbose=T)
Required Arguments
- data
-
Data in an object of class TSdata.
Optional Arguments
- estimation
-
Initial estimation method to be used.
- reduction
-
Reduction method to be used.
- criterion
-
Criterion to be used for model selection. This can be:
port, like, aic, bic, gvc, rice,f pe, taic, tbic, tgvc, trice
or tfpe for the Portmanteau test, likelihood, Akaike Information Criterion,
Bayes Information Criterion, Generalized Cross Validation, Rice Criterion,
or Final Prediction Error. The preceeding 't' indicates that the theoretical
parameter space dimension should be used.
- verbose
-
Indicates if information should be printed during estimation.
Value
A state space model in an object of class TSestModel.
Side Effects
If verbose is T then estimation information is printed and check.residuals is run,
which gives plots of information about the residuals.
Examples
goodmodel <- est.black.box1(eg.data)
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